private static Func <ITradeHistogramBar, bool> GetIsInRangeFunc(IBaseTradeStatisticsWithKind tradeStatistics, TradeStatisticsKind tradeStatisticsKind, TrimContext trimContext)
{
var trimComparisonMode = trimContext.TrimComparisonMode;
switch (trimComparisonMode)
{
case ComparisonMode.Greater:
return(bar => tradeStatistics.GetValue(bar, tradeStatisticsKind) > trimContext.TrimValue);
case ComparisonMode.GreaterOrEqual:
return(bar => tradeStatistics.GetValue(bar, tradeStatisticsKind) >= trimContext.TrimValue);
case ComparisonMode.Less:
return(bar => tradeStatistics.GetValue(bar, tradeStatisticsKind) < trimContext.TrimValue);
case ComparisonMode.LessOrEqual:
return(bar => tradeStatistics.GetValue(bar, tradeStatisticsKind) <= trimContext.TrimValue);
case ComparisonMode.AreEqual:
return(bar => tradeStatistics.GetValue(bar, tradeStatisticsKind) == trimContext.TrimValue);
case ComparisonMode.AreNotEqual:
return(bar => tradeStatistics.GetValue(bar, tradeStatisticsKind) != trimContext.TrimValue);
default:
throw new InvalidEnumArgumentException(nameof(trimComparisonMode), (int)trimComparisonMode, trimComparisonMode.GetType());
}
}
protected IList <double> Execute(
IBaseTradeStatisticsWithKind tradeStatistics,
TrimContext tradesCountTrimContext,
TrimContext quantityTrimContext,
TrimContext askQuantityTrimContext,
TrimContext bidQuantityTrimContext,
TrimContext deltaAskBidQuantityTrimContext,
TrimContext relativeDeltaAskBidQuantityPercentTrimContext)
{
var histograms = tradeStatistics.GetHistograms();
var tradeHistogramsCache = tradeStatistics.TradeHistogramsCache;
var barsCount = tradeHistogramsCache.Bars.Count;
const double DefaultValue = double.NaN;
if (histograms.Count == 0 ||
histograms.All(item => item.Bars.Count == 0) ||
IsInvalid(tradesCountTrimContext) ||
IsInvalid(quantityTrimContext) ||
IsInvalid(askQuantityTrimContext) ||
IsInvalid(bidQuantityTrimContext) ||
IsInvalid(deltaAskBidQuantityTrimContext) ||
IsInvalid(relativeDeltaAskBidQuantityPercentTrimContext))
{
return(new ConstGenBase <double>(barsCount, DefaultValue));
}
var isInRangeFuncs = new List <Func <ITradeHistogramBar, bool> >();
if (tradesCountTrimContext.UseTrimValue)
{
isInRangeFuncs.Add(GetIsInRangeFunc(tradeStatistics, TradeStatisticsKind.TradesCount, tradesCountTrimContext));
}
if (quantityTrimContext.UseTrimValue)
{
isInRangeFuncs.Add(GetIsInRangeFunc(tradeStatistics, TradeStatisticsKind.Quantity, quantityTrimContext));
}
if (askQuantityTrimContext.UseTrimValue)
{
isInRangeFuncs.Add(GetIsInRangeFunc(tradeStatistics, TradeStatisticsKind.AskQuantity, askQuantityTrimContext));
}
if (bidQuantityTrimContext.UseTrimValue)
{
isInRangeFuncs.Add(GetIsInRangeFunc(tradeStatistics, TradeStatisticsKind.BidQuantity, bidQuantityTrimContext));
}
if (deltaAskBidQuantityTrimContext.UseTrimValue)
{
isInRangeFuncs.Add(GetIsInRangeFunc(tradeStatistics, TradeStatisticsKind.DeltaAskBidQuantity, deltaAskBidQuantityTrimContext));
}
if (relativeDeltaAskBidQuantityPercentTrimContext.UseTrimValue)
{
isInRangeFuncs.Add(GetIsInRangeFunc(tradeStatistics, TradeStatisticsKind.RelativeDeltaAskBidQuantityPercent, relativeDeltaAskBidQuantityPercentTrimContext));
}
double[] results = null;
var runtime = Context?.Runtime;
var canBeCached = tradeStatistics.HasStaticTimeline && barsCount > 1 && runtime != null;
string id = null, stateId = null;
DerivativeTradeStatisticsCacheContext context = null;
var cachedCount = 0;
double lastResult1 = DefaultValue, lastResult2 = DefaultValue;
if (canBeCached)
{
id = string.Join(".", runtime.TradeName, runtime.IsAgentMode, VariableId);
stateId = GetParametersStateId() + "." + tradeStatistics.StateId;
context = DerivativeTradeStatisticsCache.Instance.GetContext(id, stateId, tradeHistogramsCache);
if (context != null)
{
var cachedResults = context.Values;
cachedCount = Math.Min(cachedResults.Length, barsCount) - 1;
if (cachedResults.Length == barsCount)
{
results = cachedResults;
}
else
{
Buffer.BlockCopy(cachedResults, 0, results = new double[barsCount], 0, cachedCount * sizeof(double));
}
lastResult1 = lastResult2 = results[cachedCount - 1];
}
else
{
results = new double[barsCount];
}
}
else
{
results = Context?.GetArray <double>(barsCount) ?? new double[barsCount];
}
tradeStatistics.GetHistogramsBarIndexes(out var firstBarIndex, out var lastBarIndex);
for (var i = cachedCount; i < firstBarIndex; i++)
{
results[i] = lastResult2;
}
lock (tradeStatistics.Source)
{
for (var i = Math.Max(cachedCount, firstBarIndex); i <= lastBarIndex; i++)
{
var extremum = GetExtremum(tradeStatistics, i, ref lastResult1);
if (extremum.Bar != null && (isInRangeFuncs.Count == 0 || isInRangeFuncs.All(item => item(extremum.Bar))))
{
lastResult2 = lastResult1;
}
results[i] = lastResult2;
}
}
for (var i = Math.Max(cachedCount, lastBarIndex + 1); i < barsCount; i++)
{
results[i] = lastResult2;
}
if (canBeCached)
{
DerivativeTradeStatisticsCache.Instance.SetContext(id, stateId, tradeHistogramsCache, results, context);
}
return(results);
}
private static bool IsInvalid(TrimContext trimContext)
{
return(trimContext.UseTrimValue && double.IsNaN(trimContext.TrimValue));
}
